TLDR: Exhaust wrap will decrease engine bay temps and make the exhaust gasses flow faster, but not all headers and exhaust systems are made to the same quality, and you may screw up your exhaust system, as well as void your warrantee. Check with your header manufacturer, or do the better performing option and get ceramic coating done.
http://www.speedwaymotors.com/Tech/exhaust-systems-headers-wrap